
Dataset Name: spiderrock_printsets_indexed
Group: options
Vendor: SpiderRock
Data Starts at: 2015-01-02 00:00:00
Symbol Set: US Options
Asset Class: Options
Data Update Time(s): 3:00 AM EST
Data Update Frequency: intraday
Put and Call information - Option Print Set records contain every option print along with quote, surface, and SR probability details at print time.
These records also contain 1 Minute and 10 Minute forward mark details. These records are created for every print at the time of print and updated at 1 Minute and 10 Minutes forward to include trade performance.
SpiderRock Alpha probabilities for each print are archived with the print.
This is a large dataset. Medium Speed (SPDb, Key = okey_tk)
Data Contained in this Dataset
Column | Type | Description |
---|---|---|
_seq | int64 | Internal sequence number used to keep data rows in order |
muts | int64 | Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. |
timestamp | string | Timestamp of the Data - America/New York Time. |
symbol | string | Trading Symbol or Ticker |
okey_at | string | Option underlying asset type |
okey_ts | string | Option ticker source |
okey_tk | string | Option underlying symbol |
okey_yr | int64 | Option expiration year |
okey_mn | int64 | Option expiration month |
okey_dy | int64 | Option expiration day |
okey_xx | double | Option strike |
okey_cp | string | Option call/put indicator |
timestamp_utc | int64 | Data Timestamp in UTC |
timestamp_utc_str | string | Data Timestamp in UTC Format as a string |
prtNumber | int64 | Unique print set identifier, will increment but not guaranteed to be sequential |
tradingDate | int64 | Trading Date in UTC |
tradingDate_str | string | Trading Date as a formatted string |
tradingSession | string | Trading session (´None´,´RegularMkt´,´PreMkt´,´PostMkt´,´PostMktETF´,´NextDay´) |
ticker_at | string | Underlying asset type |
ticker_ts | string | Underlying ticker source |
ticker_tk | string | Underlying ticker |
undSecKey_at | string | Underlying asset type |
undSecKey_ts | string | Underlying security trade source |
undSecKey_tk | string | Underlying ticker |
undSecKey_yr | int64 | Underlying asset expiration year - futures only |
undSecKey_mn | int64 | Underlying asset expiration month - futures only |
undSecKey_dy | int64 | Underlying asset expiration day - futures only |
undSecType | string | Underlying security type |
prtExch | string | Exchange where trade/print took place |
prtSize | int64 | Number of contracts in the trade |
prtPrice | double | Print price |
prtType | int64 | OPRA-provided code to identify trade type (i.e., multi-leg, auction) OPRA Binary Data Recipient specification on www.opraplan.com |
prtOrders | int64 | Number of participating orders |
prtClusterNum | int64 | Incremental print cluster counter (one counter per okey; used to group prints into clusters) |
prtClusterSize | int64 | Cumulative size of prints in this sequence (prints @ same or more aggressive price with less than 25 ms elapsing since first print; can span exchanges) |
prtVolume | int64 | Total volume of contracts traded as of the print time |
cxlVolume | int64 | Day print/cancel volume (num of contracts printed and then cancelled) |
bidCount | int64 | Number of trades occurring at bid |
askCount | int64 | Number of trades occurring at ask |
bidVolume | int64 | Number of trades cumulatively occurring at bid |
askVolume | int64 | Number of trades cumulatively occurring at ask |
ebid | double | Bid at print time on the given Exchange (prtExch) |
eask | double | Ask at print time (prtExch) |
ebsz | int64 | Bid size at print time (prtExch) |
easz | int64 | Ask size at print time (prtExch) |
eage | double | If the print crossed the bid, this is the age of the bid quote. If the print crossed the ask, it´s the age of the ask quote. |
prtSide | string | SR-inferred print side (´None´,´Mid´,´Bid´,´Ask´) |
prtTimestamp | int64 | Exchange high precision timestamp in Unix epoch (if available) |
netTimestamp | int64 | SR Gateway timestamp in Unix epoch |
oBid | double | Option NBBO bid at print time |
oAsk | double | Option NBBO ask at print time |
oBidSz | int64 | Option NBBO cumulative bid size at print time |
oAskSz | int64 | Option NBBO cumulative ask size at print time |
oBidEx | string | Exchange with the largest size on the NBBO |
oAskEx | string | Exchange with the largest size on the NBBO |
oBidExSz | int64 | Option size of oBidEx at print time |
oAskExSz | int64 | Option size of oAskEx at print time |
oBidCnt | int64 | Number of exchanges on the NBBO bid |
oAskCnt | int64 | Number of exchanges on the NBBO ask |
oBid2 | double | Second level NBBO bid price |
oAsk2 | double | Second level NBBO ask price |
oBidSz2 | int64 | Cumulative size on the second level bid price |
oAskSz2 | int64 | Cumulative size on the second level ask price |
uBid | double | Underlying bid at print time |
uAsk | double | Underlying ask at print time |
uPrc | double | Underlying price at print time |
yrs | double | SpiderRock time to expiration in years |
rate | double | SpiderRock calibrated risk free rate |
sdiv | double | SpiderRock implied continuous dividend rate |
ddiv | double | Sum of dividends paid to expiration |
xDe | double | SR moneyness as a Delta offset |
xAxis | double | SR surface moneyness |
prtIv | double | Implied vol of the prtPrice |
prtDe | double | Delta of the prtPrice |
prtGa | double | Gamma of the prtPrice |
prtTh | double | Theta of the prtPrice |
prtVe | double | Vega of the prtPrice |
prtRo | double | Rho of the prtPrice |
calcErr | string | Internal use (Pricing model error code) |
surfVol | double | SR surface volatility at print time |
surfOpx | double | SR surface price at print time |
surfAtm | double | SR surface atmVol at print time |
prtProbability | double | SR probability that buying prtSize shares @ prtPrice will have positive pnl (prtPriceM1 >= prtPrice) 1 minute after time of print |
oBidM1 | double | NBBO option bid 1 minute after print time |
oAskM1 | double | NBBO option ask 1 minute after print time |
uBidM1 | double | NBBO underlying bid 1 minute after print time |
uAskM1 | double | NBBO underlying ask 1 minute after print time |
uPrcM1 | double | Underlying price 1 minute after print time |
sVolM1 | double | Surface volatility 1 minute after print time |
sOpxM1 | double | Surface option price 1 minute after print time |
sDivM1 | double | sdiv 1 minute after print time |
sErrM1 | string | Internal use |
pnlM1 | double | Delta neutral pnl 1 minute after print time |
pnlM1Err | string | Internal use |
oBidM10 | double | NBBO option bid 10 minutes after print time |
oAskM10 | double | NBBO option ask 10 minutes after print time |
uBidM10 | double | NBBO underlying bid 10 minutes after print time |
uAskM10 | double | NBBO underlying ask 10 minutes after print time |
uPrcM10 | double | Underlying price 10 minutes after print time |
sVolM10 | double | Surface volatility 10 minutes after print time |
sOpxM10 | double | Surface option price 10 minutes after print time |
sDivM10 | double | sdiv 10 minutes after print time |
sErrM10 | string | Internal use |
pnlM10 | double | Delta neutral pnl 10 minutes after print time |
pnlM10Err | string | Internal use |
multihedge | string | Indication of type of non standard deliverable (None, Simple, Complex, Allcash, Binary) |
timestamp_cst | int64 | Time stamp of last update to record - local Chicago time |
timestamp_cst_str | string | Time stamp of last update to record - local Chicago time - string format |
securityID | int64 | Security Identification Code for the data source vendor |
Important Dataset Notes
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